Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2004-04

AUTHORS

N. C. Framstad, B. Øksendal, A. Sulem

ABSTRACT

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.

PAGES

77-98

References to SciGraph publications

  • 1999. Stochastic Controls, Hamiltonian Systems and HJB Equations in NONE
  • 1978. Optimality Conditions in Optimal Control of Jump Processes — Extended Abstract in VORTRÄGE DER JAHRESTAGUNG 1977 / PAPERS OF THE ANNUAL MEETING 1977 DGOR
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96

    DOI

    http://dx.doi.org/10.1023/b:jota.0000026132.62934.96

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1044768682


    Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
    Incoming Citations Browse incoming citations for this publication using opencitations.net

    JSON-LD is the canonical representation for SciGraph data.

    TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

    [
      {
        "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
        "author": [
          {
            "affiliation": {
              "alternateName": "University of Oslo", 
              "id": "https://www.grid.ac/institutes/grid.5510.1", 
              "name": [
                "Department of Mathematics, University of Oslo, Blindern, Oslo, Norway"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Framstad", 
            "givenName": "N. C.", 
            "id": "sg:person.010404401623.10", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010404401623.10"
            ], 
            "type": "Person"
          }, 
          {
            "affiliation": {
              "alternateName": "Norwegian School of Economics", 
              "id": "https://www.grid.ac/institutes/grid.424606.2", 
              "name": [
                "Department of Mathematics, University of Oslo, Blindern, Oslo, Norway", 
                "Norwegian School of Economics and Business Administration, Bergen, Norway"
              ], 
              "type": "Organization"
            }, 
            "familyName": "\u00d8ksendal", 
            "givenName": "B.", 
            "id": "sg:person.012146421572.98", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012146421572.98"
            ], 
            "type": "Person"
          }, 
          {
            "affiliation": {
              "alternateName": "French Institute for Research in Computer Science and Automation", 
              "id": "https://www.grid.ac/institutes/grid.5328.c", 
              "name": [
                "INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay, France"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Sulem", 
            "givenName": "A.", 
            "id": "sg:person.011275745030.24", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011275745030.24"
            ], 
            "type": "Person"
          }
        ], 
        "citation": [
          {
            "id": "https://doi.org/10.1016/s0304-4149(96)00120-2", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1005502332"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1080/17442508308833253", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1012414211"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://app.dimensions.ai/details/publication/pub.1013764448", 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/978-1-4612-1466-3", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1013764448", 
              "https://doi.org/10.1007/978-1-4612-1466-3"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/978-1-4612-1466-3", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1013764448", 
              "https://doi.org/10.1007/978-1-4612-1466-3"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/0022-247x(73)90066-8", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1014729012"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1080/17442509408833921", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1036815763"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1080/17442509708834099", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1042978261"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/978-3-662-00409-8_7", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1050837343", 
              "https://doi.org/10.1007/978-3-662-00409-8_7"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1137/0310041", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1062843032"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1137/0328054", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1062844229"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1137/s0363012992233858", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1062880915"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1137/s036301299834973x", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1062881519"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1214/aoap/1177005363", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1064398015"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.2307/2525753", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1069971900"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1515/9781400873173", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1096968462"
            ], 
            "type": "CreativeWork"
          }
        ], 
        "datePublished": "2004-04", 
        "datePublishedReg": "2004-04-01", 
        "description": "We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.", 
        "genre": "research_article", 
        "id": "sg:pub.10.1023/b:jota.0000026132.62934.96", 
        "inLanguage": [
          "en"
        ], 
        "isAccessibleForFree": true, 
        "isPartOf": [
          {
            "id": "sg:journal.1044187", 
            "issn": [
              "0022-3239", 
              "1573-2878"
            ], 
            "name": "Journal of Optimization Theory and Applications", 
            "type": "Periodical"
          }, 
          {
            "issueNumber": "1", 
            "type": "PublicationIssue"
          }, 
          {
            "type": "PublicationVolume", 
            "volumeNumber": "121"
          }
        ], 
        "name": "Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance", 
        "pagination": "77-98", 
        "productId": [
          {
            "name": "readcube_id", 
            "type": "PropertyValue", 
            "value": [
              "d53fec5814a615032ba26965e4db9f771a08899e467ba1661694cf4a3e918d86"
            ]
          }, 
          {
            "name": "doi", 
            "type": "PropertyValue", 
            "value": [
              "10.1023/b:jota.0000026132.62934.96"
            ]
          }, 
          {
            "name": "dimensions_id", 
            "type": "PropertyValue", 
            "value": [
              "pub.1044768682"
            ]
          }
        ], 
        "sameAs": [
          "https://doi.org/10.1023/b:jota.0000026132.62934.96", 
          "https://app.dimensions.ai/details/publication/pub.1044768682"
        ], 
        "sdDataset": "articles", 
        "sdDatePublished": "2019-04-10T21:52", 
        "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
        "sdPublisher": {
          "name": "Springer Nature - SN SciGraph project", 
          "type": "Organization"
        }, 
        "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8687_00000593.jsonl", 
        "type": "ScholarlyArticle", 
        "url": "http://link.springer.com/10.1023%2FB%3AJOTA.0000026132.62934.96"
      }
    ]
     

    Download the RDF metadata as:  json-ld nt turtle xml License info

    HOW TO GET THIS DATA PROGRAMMATICALLY:

    JSON-LD is a popular format for linked data which is fully compatible with JSON.

    curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96'

    N-Triples is a line-based linked data format ideal for batch operations.

    curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96'

    Turtle is a human-readable linked data format.

    curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96'

    RDF/XML is a standard XML format for linked data.

    curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1023/b:jota.0000026132.62934.96'


     

    This table displays all metadata directly associated to this object as RDF triples.

    120 TRIPLES      20 PREDICATES      40 URIs      19 LITERALS      7 BLANK NODES

    Subject Predicate Object
    1 sg:pub.10.1023/b:jota.0000026132.62934.96 schema:author Nf5bef19f4a464b6280839a855edc5b48
    2 schema:citation sg:pub.10.1007/978-1-4612-1466-3
    3 sg:pub.10.1007/978-3-662-00409-8_7
    4 https://app.dimensions.ai/details/publication/pub.1013764448
    5 https://doi.org/10.1016/0022-247x(73)90066-8
    6 https://doi.org/10.1016/s0304-4149(96)00120-2
    7 https://doi.org/10.1080/17442508308833253
    8 https://doi.org/10.1080/17442509408833921
    9 https://doi.org/10.1080/17442509708834099
    10 https://doi.org/10.1137/0310041
    11 https://doi.org/10.1137/0328054
    12 https://doi.org/10.1137/s0363012992233858
    13 https://doi.org/10.1137/s036301299834973x
    14 https://doi.org/10.1214/aoap/1177005363
    15 https://doi.org/10.1515/9781400873173
    16 https://doi.org/10.2307/2525753
    17 schema:datePublished 2004-04
    18 schema:datePublishedReg 2004-04-01
    19 schema:description We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.
    20 schema:genre research_article
    21 schema:inLanguage en
    22 schema:isAccessibleForFree true
    23 schema:isPartOf N1dc27f77dc86458d99bf854d807de178
    24 N9a26fceaebdb46eea74645079c310460
    25 sg:journal.1044187
    26 schema:name Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance
    27 schema:pagination 77-98
    28 schema:productId N6421fc6c0afe45ef8a45ef6a8ec7807e
    29 N64ea8bf9aab349f79e2a43156deca8ef
    30 Ne75898bac42541b6b966c5563b6a0efb
    31 schema:sameAs https://app.dimensions.ai/details/publication/pub.1044768682
    32 https://doi.org/10.1023/b:jota.0000026132.62934.96
    33 schema:sdDatePublished 2019-04-10T21:52
    34 schema:sdLicense https://scigraph.springernature.com/explorer/license/
    35 schema:sdPublisher N65c779fa44ce4e7cb3ec7d5284757eb9
    36 schema:url http://link.springer.com/10.1023%2FB%3AJOTA.0000026132.62934.96
    37 sgo:license sg:explorer/license/
    38 sgo:sdDataset articles
    39 rdf:type schema:ScholarlyArticle
    40 N1dc27f77dc86458d99bf854d807de178 schema:volumeNumber 121
    41 rdf:type schema:PublicationVolume
    42 N41501829a82b4c3bbe0dda34a2ce52bb rdf:first sg:person.012146421572.98
    43 rdf:rest Nbdc18f730a2c4b488e3c5ca53e7d7792
    44 N6421fc6c0afe45ef8a45ef6a8ec7807e schema:name doi
    45 schema:value 10.1023/b:jota.0000026132.62934.96
    46 rdf:type schema:PropertyValue
    47 N64ea8bf9aab349f79e2a43156deca8ef schema:name readcube_id
    48 schema:value d53fec5814a615032ba26965e4db9f771a08899e467ba1661694cf4a3e918d86
    49 rdf:type schema:PropertyValue
    50 N65c779fa44ce4e7cb3ec7d5284757eb9 schema:name Springer Nature - SN SciGraph project
    51 rdf:type schema:Organization
    52 N9a26fceaebdb46eea74645079c310460 schema:issueNumber 1
    53 rdf:type schema:PublicationIssue
    54 Nbdc18f730a2c4b488e3c5ca53e7d7792 rdf:first sg:person.011275745030.24
    55 rdf:rest rdf:nil
    56 Ne75898bac42541b6b966c5563b6a0efb schema:name dimensions_id
    57 schema:value pub.1044768682
    58 rdf:type schema:PropertyValue
    59 Nf5bef19f4a464b6280839a855edc5b48 rdf:first sg:person.010404401623.10
    60 rdf:rest N41501829a82b4c3bbe0dda34a2ce52bb
    61 sg:journal.1044187 schema:issn 0022-3239
    62 1573-2878
    63 schema:name Journal of Optimization Theory and Applications
    64 rdf:type schema:Periodical
    65 sg:person.010404401623.10 schema:affiliation https://www.grid.ac/institutes/grid.5510.1
    66 schema:familyName Framstad
    67 schema:givenName N. C.
    68 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010404401623.10
    69 rdf:type schema:Person
    70 sg:person.011275745030.24 schema:affiliation https://www.grid.ac/institutes/grid.5328.c
    71 schema:familyName Sulem
    72 schema:givenName A.
    73 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011275745030.24
    74 rdf:type schema:Person
    75 sg:person.012146421572.98 schema:affiliation https://www.grid.ac/institutes/grid.424606.2
    76 schema:familyName Øksendal
    77 schema:givenName B.
    78 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012146421572.98
    79 rdf:type schema:Person
    80 sg:pub.10.1007/978-1-4612-1466-3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1013764448
    81 https://doi.org/10.1007/978-1-4612-1466-3
    82 rdf:type schema:CreativeWork
    83 sg:pub.10.1007/978-3-662-00409-8_7 schema:sameAs https://app.dimensions.ai/details/publication/pub.1050837343
    84 https://doi.org/10.1007/978-3-662-00409-8_7
    85 rdf:type schema:CreativeWork
    86 https://app.dimensions.ai/details/publication/pub.1013764448 schema:CreativeWork
    87 https://doi.org/10.1016/0022-247x(73)90066-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014729012
    88 rdf:type schema:CreativeWork
    89 https://doi.org/10.1016/s0304-4149(96)00120-2 schema:sameAs https://app.dimensions.ai/details/publication/pub.1005502332
    90 rdf:type schema:CreativeWork
    91 https://doi.org/10.1080/17442508308833253 schema:sameAs https://app.dimensions.ai/details/publication/pub.1012414211
    92 rdf:type schema:CreativeWork
    93 https://doi.org/10.1080/17442509408833921 schema:sameAs https://app.dimensions.ai/details/publication/pub.1036815763
    94 rdf:type schema:CreativeWork
    95 https://doi.org/10.1080/17442509708834099 schema:sameAs https://app.dimensions.ai/details/publication/pub.1042978261
    96 rdf:type schema:CreativeWork
    97 https://doi.org/10.1137/0310041 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062843032
    98 rdf:type schema:CreativeWork
    99 https://doi.org/10.1137/0328054 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062844229
    100 rdf:type schema:CreativeWork
    101 https://doi.org/10.1137/s0363012992233858 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062880915
    102 rdf:type schema:CreativeWork
    103 https://doi.org/10.1137/s036301299834973x schema:sameAs https://app.dimensions.ai/details/publication/pub.1062881519
    104 rdf:type schema:CreativeWork
    105 https://doi.org/10.1214/aoap/1177005363 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064398015
    106 rdf:type schema:CreativeWork
    107 https://doi.org/10.1515/9781400873173 schema:sameAs https://app.dimensions.ai/details/publication/pub.1096968462
    108 rdf:type schema:CreativeWork
    109 https://doi.org/10.2307/2525753 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069971900
    110 rdf:type schema:CreativeWork
    111 https://www.grid.ac/institutes/grid.424606.2 schema:alternateName Norwegian School of Economics
    112 schema:name Department of Mathematics, University of Oslo, Blindern, Oslo, Norway
    113 Norwegian School of Economics and Business Administration, Bergen, Norway
    114 rdf:type schema:Organization
    115 https://www.grid.ac/institutes/grid.5328.c schema:alternateName French Institute for Research in Computer Science and Automation
    116 schema:name INRIA, Domaine de Voluceau, Rocquencourt, Le Chesnay, France
    117 rdf:type schema:Organization
    118 https://www.grid.ac/institutes/grid.5510.1 schema:alternateName University of Oslo
    119 schema:name Department of Mathematics, University of Oslo, Blindern, Oslo, Norway
    120 rdf:type schema:Organization
     




    Preview window. Press ESC to close (or click here)


    ...